Back when I worked on analogue kit with outboard kit I’d bring the FX return back to a spare channel on the desk - reason being was that I could eq the reverb (for example) to suit the song, also gave options for panning effects.
These days I group the effects in with the source material (brass tracks with brass reverb etc), as it’s just easier to mute or solo the group and not have to find where the extra returns are.